Linear filtering for asymmetric stochastic volatility models
type: Item
instance of: scholarly article
title: Linear filtering for asymmetric stochastic volatility models
zbMATH Open document ID: 1255.62318
author: Chris Kirby
published in: Economics Letters
publication date: 2013-01-08T00:00:00Z
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62M20
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62G05
Mathematics Subject Classification ID: 65C05
zbMATH DE Number: 6123401
zbMATH Keywords: Kalman filter
zbMATH Keywords: state-space model
zbMATH Keywords: autoregressive volatility
zbMATH Keywords: leverage effect
zbMATH Keywords: quasi maximum likelihood
MaRDI profile type: Publication
full work available at URL: j.econlet.2006.03.005
OpenAlex ID: W3125455535
cites work: Markov chain Monte Carlo methods for stochastic volatility models.
cites work: Estimating linear representations of nonlinear processes
cites work: Multivariate Stochastic Variance Models
cites work: Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
DOI: 10.1016/J.ECONLET.2006.03.005
description: scientific article; zbMATH DE number 6123401